Instrument : Sell Bank Nifty OTM1 CE/PE i.e. ATM + 100 CE and ATM - 100 PE based on spot Entry Day : Only on Expiry days Entry Time: 1050 Stop Loss - Both legs need to be squared off if underlying moves by 120 point in any direction Re-entry - 5 times. Re-entry means a new OTM1 strangle will be opened when both legs are squared off for previous strangle because of underlying movement by 120 points. Re-entry should happen only before 3:00 PM as after 3 PM not much premiums are left for OTM1 options and if a big move comes it can give more losses than the premium received Exit - Exit at 1515 MTM SL : 2000 1200 (New MTM SL after BN lot size change is 1200) Capital Needed: 1,80,000 1,05,000 (Change in capital because of BN Lot size change) Slippage considered : 0.5% Strategy setup in Quantiply Back testing ( Updated as on 5-Apr-24 ) Actuals (Started trading from 29-Sep-22) Week wise PnL per lot for trades in Mar 2024 Reason for days with high slippage: Historical Trades Feb 2024 Ja